Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0523
Annualized Std Dev 0.3475
Annualized Sharpe (Rf=0%) 0.1506

Row

Daily Return Statistics

Close
Observations 4522.0000
NAs 1.0000
Minimum -0.2008
Quartile 1 -0.0105
Median 0.0012
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0125
Maximum 0.2292
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0011
Variance 0.0005
Stdev 0.0219
Skewness -0.1052
Kurtosis 9.5111

Downside Risk

Close
Semi Deviation 0.0159
Gain Deviation 0.0148
Loss Deviation 0.0164
Downside Deviation (MAR=210%) 0.0202
Downside Deviation (Rf=0%) 0.0156
Downside Deviation (0%) 0.0156
Maximum Drawdown 0.6815
Historical VaR (95%) -0.0328
Historical ES (95%) -0.0514
Modified VaR (95%) -0.0320
Modified ES (95%) -0.0480
From Trough To Depth Length To Trough Recovery
2011-05-02 2020-03-23 NA -0.6815 2489 2238 NA
2007-11-01 2008-10-27 2011-04-29 -0.6625 880 249 631
2006-05-10 2006-06-27 2007-04-03 -0.2956 226 34 192
2007-07-24 2007-08-16 2007-10-04 -0.2025 52 18 34
2004-04-07 2004-05-10 2004-09-16 -0.1916 110 23 87

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA -1.6 -1.3 0.2 0.8 1.8 -0.5 0.1 0.3 -0.3 3 -0.1 2.2
2004 -0.5 1.9 0.9 -3.2 1.9 -0.3 1 -0.8 0.9 0.4 0.6 0.3 3.1
2005 -0.2 0.3 1.5 1.5 -1.9 -2 2.1 2.6 0.6 1.4 1.9 -1 7
2006 1.5 1.6 -1 0.1 1.6 -0.2 -1.7 0.4 -1.9 0.1 -0.8 -0.5 -0.9
2007 2.1 -2.1 0.9 0.6 1.5 0.3 0.1 2.5 1.9 -4.8 -0.1 -3.5 -0.8
2008 3.2 -3.7 3.3 0.2 -0.2 -2.7 -2.2 -1.3 -2.6 1.6 -11.5 1.4 -14.4
2009 -2.2 -5.7 4 1.8 2.4 1.1 2.6 -3.2 -4.2 -4.4 2.8 -0.5 -6
2010 2.9 2.7 2.2 -0.4 -3.1 0.2 0.5 3.7 1.1 0.5 2.2 0.6 13.8
2011 1.6 -2 1.7 1.3 -1.9 0.8 1.3 -0.1 -4.1 -2.8 -1.4 0.5 -5.3
2012 3.3 2.4 1.2 1.3 -1.5 3.6 0.2 1.2 -0.1 0.6 -2 1.7 12.3
2013 2 2 -0.7 -1.2 -1.1 0.3 1.5 1.6 0.5 -1.4 2 0.5 6
2014 1.3 -1.3 1.4 0.3 -2.7 0.8 0.4 -1.2 -1.4 -0.2 -1.3 -0.6 -4.5
2015 -2.1 -1.5 2.1 -0.1 -1.3 -0.6 1.8 -5.6 1 0.6 -0.8 -0.4 -7
2016 -2 5.8 -0.3 0.5 1.4 0.4 -0.7 1.4 1.5 -1.3 -1.6 -2.6 2.2
2017 -0.1 2.1 -3.2 0.1 1.8 0.6 -0.2 1.1 1.2 0.1 -0.8 1.3 3.9
2018 -1.2 -0.2 1.4 -1.3 2.8 3.7 -1.5 1.1 -0.2 6.7 -3.7 -0.2 7.3
2019 -1.9 -1.3 4 -1.8 1.6 0.4 -2.4 2.7 -0.5 0.8 -0.8 0.1 0.7
2020 -3 -1 -3.9 -2.9 1.7 1.8 -2.8 3.2 2 0.8 3.5 -1.4 -2.3
2021 2.1 3.8 0.5 NA NA NA NA NA NA NA NA NA 6.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-02-07  19.5 SPY    83.4 -0.0122  -0.0307  -0.0872  -0.103    -0.228   -0.409       NA <NA>     NA    NA       NA
2 2003-02-10  19.5 SPY    84.0  0.0071  -0.0257  -0.0948  -0.0744   -0.237   -0.413       NA <NA>     NA    NA       NA
3 2003-02-13  19.2 SPY    82.4  0.003   -0.0249  -0.118   -0.0743   -0.266   -0.429       NA <NA>     NA    NA       NA
4 2003-02-18  19.3 SPY    85.6  0.0176   0.0193  -0.0694  -0.0562   -0.228   -0.395       NA <NA>     NA    NA       NA
5 2003-02-19  19.3 SPY    85.2 -0.0053   0.021   -0.0604  -0.0681   -0.217   -0.386       NA <NA>     NA    NA       NA
6 2003-02-20  19.4 SPY    84.3 -0.01     0.0272  -0.0551  -0.068    -0.238   -0.396       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart